Hidden semi-Markov-switching quantile regression for time series

DOI10.1016/j.csda.2021.107208OpenAlexW3134820497MaRDI QIDQ830112

Antonello Maruotti, Lea Petrella, Luca Sposito

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2021.107208

zbMATH Keywords

EM algorithmmaximum likelihood estimationquantile regressionMarkov-switching modelsasymmetric Laplace distributionsojourn distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Quantile hidden semi-Markov models for multivariate time series ⋮ Parsimonious Hidden Markov Models for Matrix-Variate Longitudinal Data

Uses Software

• hsmm
• quantreg
• GAMLSS
• qrcm

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